Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times

Li, Qiyuan and Li, Yifan and Nolte, Ingmar and Nolte, Sandra and Yu, Shifan (2026) Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times. Journal of Econometrics, 254 (Part A): 106132. ISSN 0304-4076

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Abstract

This paper introduces a novel nonparametric high-frequency jump test for discretely observed Itô semimartingales. Based on observations sampled recursively at first exit times from a symmetric double barrier, our method distinguishes between threshold exceedances caused by the Brownian component and jumps, which enables the construction of a feasible, noise-robust statistical test. Simulation results demonstrate superior finite-sample performance of our test compared to existing methods. An empirical analysis of NYSE-traded stocks provides clear statistical evidence for jumps, with the results highly robust to spurious detections.